It has been claimed that the Gunners have beaten off competition from North London rivals Tottenham Hotspur to sign the Spaniard on a six-month loan.
However, Wenger was quick to dismiss suggestions that the 21-year-old will be arriving at the Emirates in January.
"No, there's not truth in that," Wenger said in a press conference. "That's all I can say. I've not been in touch with them."
Morata has made just one start for the Spanish giants this season, but has scored twice since coming off the bench on nine occasions.